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Let \(U_{1}, U_{2}, \ldots\) be independent uniform \((0,1)\) random variables, and define \(N\) by $$ N=\min \left[n: U_{1}+U_{2}+\cdots+U_{n}>1\right\\} $$ What is \(E[N] ?\)

Short Answer

Expert verified
The expected value of \(N\), denoted as \(E[N]\), is \(\frac{1}{2}\).

Step by step solution

01

Calculate the Probability for each value of \(n#\)tag_content#To calculate the probability that it takes \(n\) random variables from the sequence to make the sum greater than \(1\), we need to find the probability that the sum is less than or equal to \(1\) after adding \(n-1\) random variables and greater than \(1\) after adding \(n\) random variables. Let's denote this probability as \(P_N(n)\). It is equal to the probability that the sum of the first \(n-1\) random variables lies between 0 and \(1-U_n\) which can be represented as, $$ P_N(n) = \int_0^1 \int_0^{1-u_n} \cdots \int_0^{1-u_n-\cdots -u_2}du_1 \cdots d u_{n-1} du_n \cdot n!(n-1)! $$

Step 2: Calculate the Expected Value of \(N#\)tag_content#Now that we have the probability \(P_N(n)\) for each value of \(n\), we can calculate the expected value of \(N\), \(E[N]\). The expected value can be computed as the sum of the product of each possible value of \(n\) and its corresponding probability \(P_N(n)\): $$ E[N] = \sum_{n=1}^{\infty} n \cdot P_N(n) $$ We now need to calculate the sum of this infinite series. To do this, we can compute the first few probabilities and recognize a pattern that generalizes to the sum: $$ \begin{aligned} E[N] &= 1 \cdot P_N(1) + 2 \cdot P_N(2) + 3 \cdot P_N(3) + \cdots \\ &= 1 \cdot 0 + 2 \cdot \frac{1}{2!} + 3 \cdot \left(-\frac{1}{3!}\right) + 4 \cdot \frac{2}{4!} - \cdots \\ &= 1 \cdot 0 + \left(\frac{1}{2} - \frac{1}{6} + \frac{1}{24} - \cdots\right) + 2 \cdot \left(-\frac{1}{6} + \frac{1}{24} - \cdots\right) + \cdots \\ \end{aligned} $$ Now, let's examine the expressions in the parenthesis. The expression in the first parenthesis is an alternating geometric series with a ratio \(-1/3\) and the sum can be found as, $$ \frac{1/2}{1-(-1/3)}=\frac{3}{5} $$ Similarly for the second parenthesis, we get $$ -\frac{1}{6}\left(\frac{1}{1-(-1/3)}\right)=-\frac{1}{10} $$ And the rest of the series follows a similar pattern. We can observe that the general pattern that emerges is: $$ E[N] = \frac{3}{5} - \frac{1}{10} + \cdots = \sum_{n=1}^{\infty} (-1)^{n+1}\cdot\frac{n}{(n+1)(n+2)} $$ Summing up this series, we get $$ E[N] = \sum_{n=1}^{\infty} (-1)^{n+1}\cdot\frac{n}{(n+1)(n+2)} = \frac{1}{2} - \frac{1}{6} + \frac{1}{12} - \cdots = \boxed{\frac{1}{2}} $$ So, the expected value of \(N\) is \(\frac{1}{2}\).

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Most popular questions from this chapter

A coin that comes up hends with probability \(0.6\) is continually flipped. Find the expected number of flips until cither the sequence \(t h h t\) or the sequence \(t t t\) occurs, and find the probability that \(t t t\) occurs first.

To prove Equation (7.24), define the following notation: \(X_{i}^{\prime}=\) time spent in state \(i\) on the \(j\) th visit to this state; \(N_{i}(m)=\) number of visits to state \(i\) in the first \(m\) transitions In terms of this notation, write expressions for (a) the amount of time during the first \(m\) transitions that the process is in state i; (b) the proportion of time during the first \(m\) transitions that the process is in state \(\underline{L}\) Argue that, with probability 1 , (c) \(\sum_{j=1}^{N_{1}(m)} \frac{X_{i}^{\prime}}{N_{i}(m)} \rightarrow \mu_{l} \quad\) as \(m \rightarrow \infty\) (d) \(N_{1}(m) / m \rightarrow n_{i}\) as \(m \rightarrow \infty\). (e) Combine parts (a), (b), (c), and (d) to prove Equation (7.24).

Consider a renewal process with mean interarrival time \(\mu .\) Suppose that cach event of this process is independently "counted" with probability \(p\). Let \(N_{c}(t)\) denote the number of counted events by time \(t, t>0\). (a) Is \(N_{c}(t), t \geq 0\) a rencwal process? (b) What is \(\lim _{t \rightarrow \infty} N_{c}(t) / t ?\)

Let \(X_{1}, X_{2}, \ldots\) be a sequence of independent random variables. The nonnegative integer valued random variable \(N\) is said to be a stopping time for the sequence if the event \(\mid N=n]\) is independent of \(X_{n+1}, X_{n+2}, \ldots\), the idea being that the \(X_{i}\) are observed one at a time-first \(X_{1}\), then \(X_{2}\), and so on -and \(N\) represents the number observed when we stop. Hence, the event \([N=n]\) corresponds to stopping after having observed \(X_{1}, \ldots, X_{n}\) and thus must be independent of the values of random variables yet to come, namely, \(X_{n+1}, X_{n+2, \ldots . .}\) (a) Let \(X_{1}, X_{2}, \ldots\) be independent with $$ \left.P\left(X_{i}=1\right]=p=1-P \mid X_{i}=0\right], \quad i \geq 1 $$ Define $$ \begin{aligned} &N_{1}=\min \left[n: X_{1}+\cdots+X_{n}=5\right\\} \\ &N_{2}=\left\\{\begin{array}{ll} 3, & \text { if } X_{1}=0 \\ 5, & \text { if } X_{1}=1 \end{array}\right. \\ &N_{3}=\left\\{\begin{array}{ll} 3, & \text { if } X_{4}=0 \\ 2, & \text { if } X_{4}=1 \end{array}\right. \end{aligned} $$ Which of the \(N_{i}\) are stopping times for the sequence \(X_{1}, \ldots ?\) An important result, known as Wald's equation states that if \(X_{1}, X_{2}, \ldots\) are independent and identically distributed and have a finite mean \(E(X)\), and if \(N\) is a stopping time for this sequence having a finite mean, then $$ E\left[\sum_{i=1}^{N} X_{i}\right]=E[N] E[X] $$ To prove Wald's cquation, let us define the indicator variables \(I_{i}, i \geq 1\) by $$ I_{i}=\left\\{\begin{array}{ll} 1, & \text { if } i \leq N \\ 0, & \text { if } i>N \end{array}\right. $$ (b) Show that $$ \sum_{i=1}^{N} X_{i}=\sum_{i=1}^{\infty} X_{i} I_{i} $$ From part (b) we see that $$ \begin{aligned} E\left[\sum_{i=1}^{N} X_{i}\right] &=E\left[\sum_{i=1}^{\infty} X_{i} I_{i}\right] \\ &=\sum_{i=1}^{\infty} E\left[X_{i} I_{i}\right] \end{aligned} $$ where the last equality assumes that the expectation can be brought inside the summation (as indeed can be rigorously proven in this case). (c) Argue that \(X_{i}\) and \(I_{i}\) are independent. Hint: \(I_{1}\) equals 0 or 1 depending on whether or not we have yet stopped after observing which random variables? (d) From part (c) we have $$ E\left[\sum_{i=1}^{N} X_{i}\right]=\sum_{i=1}^{\infty} E[X] E\left[I_{i}\right] $$ Complete the proof of Wald's equation. (e) What does Wald's equation tell us about the stopping times in part (a)?

Suppose that the interarrival distribution for a rencwal process is Poisson distributed with mean \(\mu\). That is, suppose $$ P\left[X_{n}=k\right]=e^{-*} \frac{\mu^{k}}{k !}, \quad k=0,1, \ldots $$ (a) Find the distribution of \(S_{n}\). (b) Calculate \(P \mid N(t)=n]\).

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